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The joint distribution of the time to ruin and the number of claims until ruin in the classical risk model

✍ Scribed by David C.M. Dickson

Book ID
113662494
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
229 KB
Volume
50
Category
Article
ISSN
0167-6687

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We examine the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transform, which can naturally be interpreted as discounting. We show that, as a function of the initial surplus, the joint densit